Overall Statistics
Total Trades
0
Average Win
0%
Average Loss
0%
Compounding Annual Return
0%
Drawdown
0%
Expectancy
0
Net Profit
0%
Sharpe Ratio
0
Probabilistic Sharpe Ratio
0%
Loss Rate
0%
Win Rate
0%
Profit-Loss Ratio
0
Alpha
0
Beta
0
Annual Standard Deviation
0
Annual Variance
0
Information Ratio
0
Tracking Error
0
Treynor Ratio
0
Total Fees
$0.00
Estimated Strategy Capacity
$0
Lowest Capacity Asset
 
# region imports
from AlgorithmImports import *
# endregion

class SquareAsparagusCow(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 4, 3)  # Set Start Date
        self.SetCash(100000)  # Set Strategy Cash
        self.continuous_contract = self.AddFuture(
            Futures.Indices.SP500EMini,
            Resolution.Minute,
            dataNormalizationMode=DataNormalizationMode.BackwardsRatio,
            dataMappingMode=DataMappingMode.OpenInterest,
            contractDepthOffset=0,
            extendedMarketHours=True,
        )

    def OnData(self, data: Slice):
        hist = self.History([self.continuous_contract.Symbol], 20, Resolution.Daily).droplevel(0)
        self.Quit(f"DataFrame: {hist.loc[self.continuous_contract.Symbol]}")